Move the thermostat mode switch to the "Off" position to turn off the thermostat, even if it is not functioning due to dead batteries.
Insert a coin into the slot on the coin slot on the bottom-left side of the thermostat. Pry the battery cover off the thermostat.
Pull the batteries out of the thermostat, and then install the new ones. Ensure that the batteries are installed at the proper orientation, as indicated in the diagram below the battery compartment.
Snap the battery cover back onto the thermostat.
Move the thermostat mode switch back to the desired setting.